I think the phone copies the album art and saves it in a special place so there's a chance that you can delete your album images and still get the picture when you're in the Music Player.

I don't really recommend putting the images in the mp3-tag since that tends to make them quite low resolution and doesn't look that good on the SGS. At least that goes for all such I've seen.

I use the app Album Art Grabber to download and install the album covers for the albums I transfer for my phone. Works great, you get a few images to choose from for every album and it doesn't put it on the phone in form of images that will be picked up by the Gallery.

No real reason? Oh, but the benefits are awesome. When you load that music in any desktop or other player, everything is so easy to manage, find, play.. And it looks nice without all those hieroglyphs every ripper on the face of the earth puts in